Dynamic convex duality in constrained utility maximization (Q5086461): Difference between revisions

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+Turnpike property and convergence rate for an investment model with general utility functions
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+Conjugate convex functions in optimal stochastic control
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+The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+A variational problem arising in financial economics
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+Convex duality in constrained portfolio optimization
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case<sup>1</sup>
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+Forward-backward systems for expected utility maximization
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+Optimization Problems in the Theory of Continuous Trading
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Conjugate duality in problems of constrained utility maximization
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+Optimum consumption and portfolio rules in a continuous-time model
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+A General Stochastic Maximum Principle for Optimal Control Problems
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+Continuous-time stochastic control and optimization with financial applications
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Forward Backward Semimartingale Systems for Utility Maximization
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+A selection theorem for optimization problems
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+Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
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+A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
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